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Day Trading International Mutual Funds: Evidence And Policy Solutions

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  • William Goetzmann
  • Zoran Ivkovich
  • K. Rouwenhorst

Abstract

Daily pricing of mutual funds provides liquidity to investors but is subject to valuation errors due to the inability to observe synchronous, fair security prices at the end of the trading day. This may hurt fund investors if speculators strategically seek to exploit mispricing or if the net flow of money into funds is correlated with these pricing errors. We show that mutual funds are exposed to speculative traders by usin

Suggested Citation

  • William Goetzmann & Zoran Ivkovich & K. Rouwenhorst, 2000. "Day Trading International Mutual Funds: Evidence And Policy Solutions," Yale School of Management Working Papers ysm138, Yale School of Management, revised 01 Jun 2001.
    • Handle: RePEc:ysm:wpaper:ysm138
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    File URL: https://repec.som.yale.edu/icfpub/publications/2447.pdf
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    References listed on IDEAS

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    Cited by:

    1. Vladimir Atanasov & John J. Merrick & Philipp Schuster, 2023. "Mismarking in Mutual Funds," Management Science, INFORMS, vol. 69(2), pages 1275-1300, February.
    2. Agarwal, Vikas & Barber, Brad M. & Cheng, Si & Hameed, Allaudeen & Shanker, Harshini & Yasuda, Ayako, 2023. "Do investors overvalue startups? Evidence from the junior stakes of mutual funds," CFR Working Papers 23-04, University of Cologne, Centre for Financial Research (CFR).
    3. Vikas Agarwal & Brad Barber & Si Cheng & Allaudeen Hameed & Ayako Yasuda, 2023. "Private Company Valuations by Mutual Funds," Review of Finance, European Finance Association, vol. 27(2), pages 693-738.
    4. Dang, Thuy Duong & Hollstein, Fabian & Prokopczuk, Marcel, 2022. "How do corporate bond investors measure performance? Evidence from mutual fund flows," Journal of Banking & Finance, Elsevier, vol. 142(C).

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